A New Central Limit Theorem under Sublinear Expectations

2008/03/18 by Peng, Shige · 4 citations
#60H05 #60H10 #60H30 #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.0803.2656

Abstract

We describe a new framework of a sublinear expectation space and the related notions and results of distributions, independence. A new notion of G-distributions is introduced which generalizes our G-normal-distribution in the sense that mean-uncertainty can be also described. W present our new result of central limit theorem under sublinear expectation. This theorem can be also regarded as a generalization of the law of large number in the case of mean-uncertainty.

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